Date:         Mon, 5 Sep 2005 19:49:29 -0400
Reply-To:     Talbot Michael Katz <topkatz@MSN.COM>
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         Talbot Michael Katz <topkatz@MSN.COM>
Subject:      Re: Help: Proc Qlim for Heckman model
Comments: To: Yz Yu <yyusas@YAHOO.COM>

Hi, YZ.

You've already gotten some thought-provoking feedback about the Heckman
two-step (and if I ever go to a barn dance, I'm going to shout out a
request to dance the Heckman Two-Step) from two of the gurus.  I have my
own complaints about it (it seems that whenever the Mills Ratio variable
is significant, it has a positive coefficient, although sometimes the
higher propensity subjects have a smaller effect size).

If you do want to continue in your quest to dance Heckman with SAS, you
have at least two alternatives at your disposal:

1)  David Jaeger's macro (http://support.sas.com/ctx/samples/index.jsp?
sid=476&re="s/y/PROCS/reg/reg/s/y/PROCS/reg/reg")  This requires SAS/STAT
and SAS/IML (and Base SAS, natch) to run the whole thing, but both the
modeling steps are done with STAT PROCs (PROBIT and REG), with a data step
in between to extract the Mills Ratios; the IML portion at the end is just
to compute corrected standard errors.

2)  PROC QLIM in SAS 9
(http://support.sas.com/onlinedoc/913/docMainpage.jsp).  They consider the
Heckman models part of the general class of selection models, which is
true.  So the details section of the PROC QLIM documentation on Selection
Models has a bit of the Heckman theory, and there is an example of a
Heckman-like model, "Example 22.4: Sample Selection Model" that you can
look at.  The code is pretty simple:

   proc qlim data=mroz;
     model inlf = nwifeinc educ exper expersq age kidslt6
kidsge6 /discrete;
     model lwage = educ exper expersq / select(inlf=1);
   run;

It's very straightforward to see what it's doing; the first model step is
the binary discrete part, the second models the effect when the first
dependent variable is 1.  So give it a spin (and report back to us if you
like, oh intrepid pioneer)!


--  TMK  --
"The Macro Klutz"


On Mon, 5 Sep 2005 14:16:43 -0700, yz yu <yyusas@YAHOO.COM> wrote:

>Hello,
>
>I am trying to use Heckman model. I found that many people mentioned
>that the Proc Qlim can do it in SAS 9.1. But I checked the documents for
>Proc Qlim and counld not find any detailed information about Heckman
>model analysis. Anyone can give me more detailed information about the
>Proc Qlim for Heckman?
>
>Thank you all for your help!
>
>YZ
>
>
>
>
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